Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
DOI10.1137/17M1151833zbMATH Open1395.65049WikidataQ116009471 ScholiaQ116009471MaRDI QIDQ4581765FDOQ4581765
Authors: Yan Li, Zhengce Zhang, Bei Hu 
Publication date: 21 August 2018
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
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- ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
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Cited In (3)
- A stable time-dependent mesh method for generalized credit rating migration problem
- Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
- Optimal convergence rate of the explicit Euler method for convection–diffusion equations II: High dimensional cases
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